Episodic dependencies and moving averages profitability of Romanian capital markets. The evolution of informational efficiency of Romanian stock market is illustrated by means of a test which takes into account nonlinear dynamics. According to this test, we cannot consider a significant...

It has been a challenge for financial economists to explain some stylized factsobserved in securities markets, among them, high levels of trading volume. The mostprominent explanation of excess volume is overconfidence. High market returns makeinvestors overconfident and as a consequence, these...

The aim of this paper is to investigate non-synchronous trading effect in terms of predictability. This analysis is applied to daily and one-minute interval data on the KOREA stock market. The results indicate evidence of predictability between indices with different degrees of non-synchronous...

This paper analyzes the relationship between public disclosure, private information and stock liquidity in Tunisian context using a sample of 41 listed firms in the Tunis Stock Exchange in 2007. First, we find no evidence that there is a relation between public and private information. Second,...

The objective of this paper is to investigate the presence of the anchoring bias in the financial decision making of individual investors. A survey study is carried out to find out how the studied bias affects the investment behavior on the Tunisian stock market. The survey is for exploratory...

This paper examines the pattern of international capital flows in a two-sector dynamic general equilibrium heterogeneous agent model with financial frictions and idiosyncratic entrepreneurial risk. Countries differ only with respect to the tightness of constraints on the domestic credit market....

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...

This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear...

We present a new empirical strategy for testing if financial integration improves risk sharing opportunities and consumption smoothing. Our test is based on a decomposition of the variance of consumption growth into a component that depends on the variance of permanent income shocks and one that...